EURO STOXX 50 Corporate Bond Index · PDF fileEURO STOXX 50 ® is Europe’s leading...
Transcript of EURO STOXX 50 Corporate Bond Index · PDF fileEURO STOXX 50 ® is Europe’s leading...
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EURO STOXX 50® Corporate Bond Index
May, 2016
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1. EURO STOXX 50® - ICONIC BLUE-CHIP EUROZONE EQUITY INDEX
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EURO STOXX 50 ®
» Launched 1998 » 50 blue-chip
companies from 12 Eurozone countries
» Representative and highly liquid
» Underlying for financial products
» Serves as benchmark
EURO STOXX 50 ®
is Europe’s leading equity index
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AIR LIQUIDE AIRBUS GROUP
ALLIANZ ANHEUSER-BUSCH INBEV ASML HLDG ASSICURAZIONI GENERALI AXA
BASF BAYER BCO BILBAO VIZCAYA
ARGENTARIA BCO SANTANDER
BMW BNP PARIBAS
CARREFOUR DAIMLER
DANONE DEUTSCHE BANK
DEUTSCHE POST DEUTSCHE TELEKOM E.ON
ENEL ENGIE ENI ESSILOR INTERNATIONAL FRESENIUS
GRP SOCIETE GENERALE IBERDROLA INDITEX
ING GRP INTESA SANPAOLO
L'OREAL LVMH MOET HENNESSY
MUENCHENER RUECK NOKIA
ORANGE PHILIPS ELECTRONICS SAFRAN SAINT GOBAIN SANOFI SAP
SCHNEIDER ELECTRIC SIEMENS TELEFONICA TOTAL
UNIBAIL-RODAMCO UNICREDIT UNILEVER NV
VINCI VIVENDI
VOLKSWAGEN PREF
Outstanding methodology ensures well-balanced supersector
representation
1) Data as of Dec. 31, 2015 2) Data as of Dec. 31, 2015
» 50 largest companies from the Eurozone
» Superior selection method for companies
» Captures about 60% of total free-float supersector leaders
» Quarterly adjustments to ensure timely representation of markets
» Fully rules-based and transparent concept without any subjectivity
» AuM in ETFs: EUR37.7 bn1)
» 91,898 Structured Products issued in 20152)
Key facts Current index constituents
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2. EURO STOXX 50® CORPORATE BOND INDEX
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The corporate bond index tracks the performance of EUR-
denominated bonds issued by the EURO STOXX 50® companies
Index methodology
» Corporate bonds from companies1) that are constituents of EURO STOXX 50® index at the time of the rebalancing
Underlying bond
universe
» Issuer Type: Corporate bonds, denominated in EUR » Bond Type: Fixed and zero-coupon bonds » Rating: Investment Grade (consolidated rating BBB or higher) » Time to maturity: At least 15 months measured from the respective re-balancing date » Amount outstanding: Minimum EUR 750 mn
Bond selection
criteria
» Formulas acc. to the international accepted EFFAS principles of fixed income indices » Index weights calculated according to market cap of selected bonds, capped per issuer
(20%) and industry sector (40%) » Calculated every minute in real-time, between 9:00am and 5:15pm Frankfurt time (GMT+1)2)
Calculation
methodology
» Index types: Price Index, Total Return Index, main hedged and unhedged currency versions3) » Pricing source: Continuous evaluated prices from Interactive Data Corporation (IDC) » Rating sources: Standard & Poor’s and Moody’s » Reference data sources: IDC and Bloomberg
Index types and
data sources
» Index composition and weights are reviewed quarterly Review
1) Bond issuers are companies and their subsidiaries, which belong to the corporate group. Subordinated debt is excluded 2) Closing expected at around 7:45 pm Frankfurt time (GMT+1) 3) EUR, USD, GBP, JPY and CHF currencies covered; Source currency exchange rates: WM/Reuters
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Continuous evaluated prices reach the goal of global data
coverage and address bond market liquidity issues
The optimal bond pricing source for indexing
Continuously evaluated prices are optimal, because:
» Given the current reality of liquidity in the bond markets, global coverage is ensured
» Market data from many relevant trading venues is collected and, where applicable, enriched with human analysis
» Continuously updated index calculation endorses high level service for our clients
» Fixed income high-profile evaluators from an independent provider ensure quality and minimize room for manipulation
» A challenge process in place allows, if necessary, to understand the price origination and helps for improvements
» Regulatory compliance is ensured
Global coverage Multi-source
market data1) Real-time Independent
data provider
Process for
price-challenges
1) Transaction data or binding quotes from different trading venues 2) Depending on the liquidity, high liquid bond evaluations represent regulated trade data (e.g. US Treasuries using TRACE)
Continuously
Evaluated Prices ( )2)
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Approximately 277 constituents from 33 issuing companies
qualified for the index
Number of bonds within maturity bucket Top holdings1)
Overview
Rank Issuer Number of
bonds Weight
1 BANCO SANTANDER 28 7.7%
2 BNP PARIBAS 23 7.2%
3 BMW 17 5.7%
4 ANHEUSER-BUSCH INBEV 8 5.5%
5 ENI 13 5.4%
6 TELEFONICA 11 5.2%
7 ING 14 4.9%
8 VOLKSWAGEN 14 4.8%
9 SOCIETE GENERALE 16 4.7%
10 BANCO BILBAO 13 4.3%
… .. .. ..
33 ASML 1 0.3%
1) Data as of Apr. 1, 2016. Weightings based on capped market capitalization
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83
104
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0
20
40
60
80
100
1-3 3-5 5-10 10+
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Geographical allocation Industry sector allocation
Rating allocation Weighted average index analytics
Financials
Consumer Goods
Utilities
Telecommunications
Oil & Gas
Industrials
Others
France
Netherlands
Spain
Italy
Germany
Others
BBB
A
AAA
AA
The index offers diversified geographical, rating and industry
sector allocation
Weighted Average Bid Yield to Maturity 0.852
Weighted Average Bid Duration 5.067
Weighted Average Bid Modified Duration 5.024
Weighted Average Bid Convexity 0.407
Weighted Average Remaining Time to Maturity 5.549
Weighted Average Coupon 3.006
1) Data as of Apr. 1, 2016. Weightings based on capped market capitalization
Composition key figures1)
29.2%
21.2% 15.6%
13.0%
10.1%
10.9%
42.8%
39.5%
10.2%
7.5%
40.0%
21.6%
10.5%
10.4%
9.0%
6.0% 2.5%
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The combination of the EQ and BI charts the development of
the two asset classes, providing a sound analysis of the
financial health of Eurozone blue-chip companies
1) Data from Dec. 31, 2010 until Apr. 1, 2016 2) EONIA rate is used as risk-free rate
Performance1) comparison vs. benchmark Descriptive statistics
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80
100
120
140
160
180
Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15
EURO STOXX 50 Index (GR)
EURO STOXX 50 Corporate Bond Index (TR)
EURO STOXX 50
Corporate Bond Index
EURO STOXX 50
Index
Return 1y (ann.) 1.0% -17.2%
Return 3y (ann.) 4.0% 7.5%
Return 5y (ann.) 5.4% 3.9%
Return Overall 30.5% 30.1%
Volatility 1y (ann.) 2.3% 24.6%
Volatility 3y (ann.) 2.0% 19.7%
Volatility 5y (ann.) 2.4% 21.8%
Volatility Overall 5.6% 50.4%
Sharpe Ratio 1y2) 0.5 -0.6
Sharpe Ratio 3y2) 2.0 0.5
Sharpe Ratio 5y2) 2.2 0.3
Correlation 1y -0.1 -0.1
Correlation 3y 0.0 0.0
Correlation 5y -0.3 -0.3
Maximum Drawdown -3.3% -32.7%
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APPENDIX
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STOXX chose independent valuation services from IDC
(Interactive Data Corporation) – a leading market data provider
Source: IDC
» Acknowledged, independent market leader and trusted name
» Over 40 years experience of providing independent valuations
» Extensive range of OTC instrument types covering global fixed income,
derivatives, structured products
» Coverage includes 2.7 million fixed income instruments in over 50
currencies
» One of the leading independent sources for fixed income prices
» Over 200 staff dedicated to producing evaluations in 5 locations around
the world
» Over 5,000 institutional clients
» Registered investor advisor with the SEC
» Recent awards include Inside Market Data / Inside Reference Data 2015
“Most Innovative Market Data Initiative” for continuous evaluated pricing
(CEP)
IDC Profile
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